What does this mean when I try to parent armatures together?
You can't edit parents in pose mode.  You need to be in edit mode.

Select your armature and change to edit mode.  Select the bone you wish parented, then shift select the bone you want to parent it to, and hit ctrl-p.  You can choose between connected and keep offset.

You can change the connected property via the properties window, bu you rarely need to.  If you make a bone connected, it will change the location of the head of that bone to the tail of its parent.